The influence of risk-taking on bank efficiency: Evidence from Colombia

This paper shows evidence on the influence of risk-taking on bank efficiency in emerging markets and identifies heterogeneity in the way risk affects banks with different characteristics. We fit a stochastic frontier model with random inefficiency parameters to a sample of Colombian banks. The model provides accurate cost and profit efficiency estimates. The effects of risk-taking on efficiency vary with size and affiliation. Large and foreign banks benefit more from higher exposure to credit and market risk, while domestic and small banks from being more capitalised. We identify some channels explaining these differences and provide insights for prudential regulation.     

行政处罚对银行风险承担的影响：仅罚机构还是兼罚责任人？

立足于我国监管部门大力整治银行业市场乱象的现状，文章系统梳理了不同类型行政处罚对银行风险承担的影响机制，并利用手工整理的2008-2018年银行行政处罚数据，对理论假说进行实证检验。经验结果显示，“仅机构处罚”不能显著降低银行风险承担水平，“双罚”可以有效抑制银行风险承担，并且这种抑制作用具有长期效应。异质性检验表明，“双罚”对大银行、国有银行和全国性银行风险的抑制作用更明显。机制检验发现,减少理财产品、同业业务等影子银行规模是“双罚”降低银行风险承担的重要渠道。研究还发现，随着责任人处罚严厉程度的上升，“双罚”对银行风险承担的抑制效果越好。政策启示在于，加大责任人问责力度，整治影子银行乱象，是监管部门防范银行风险的关键所在。     

Bank governance,regulation and risk-taking in Ghana

ABSTRACT

Excessive risk-taking could spell doom for the financial market and the economy as a whole as evidenced by the recent global financial crisis of 2007/08. In this study, we document the impact of corporate governance on bank risk-taking behaviour whilst accommodating the moderating effect of forms of ownership on the relationship in a regulated environment as banks do not operate in a vacuum. A panel study with data spanning from 2000 to 2013 under the fixed effects model after several model diagnostics and performance of the Hausman specification test was used. We find reserve requirement regulation to significantly influence risk-taking positively. We advocate the reversal of the recent increase in the reserve requirement from 9% to 11% and rather recommend an increase in the regulatory capital adequacy ratio from the current 10%.     

同业业务发展、货币政策传导与银行风险承担

商业银行同业业务逐渐从传统信用拆借演变为类信贷业务,一些银行通过同业业务实施监管套利、风险资产出表,同业业务的快速发展对原有货币政策传导体系形成干扰,甚至改变了商业银行的风险承担渠道。使用25家A股上市银行2008-2018年数据,在理论和实证两个方面分析了同业业务发展对银行风险承担的影响。理论上,同业业务能够提高银行风险承担水平和强化货币政策风险承担渠道,上述影响并同时对于不同银行伴有异质性。实证结论验证了理论推演的假设:同业业务发展与银行风险承担水平正相关,并对货币政策银行风险承担渠道具有强化作用;同业业务对大型银行的风险承担水平影响有限,但对股份制银行和中小银行的风险承担水平表现了较强的正相关性。分析货币政策风险承担渠道,中小银行对货币宽松与否更为敏感,其同业业务发展程度与货币宽松情况表现出较强的相关性。根据上述研究结论,监管政策应当更加关注银行体系分层结构下的同业业务发展引导,尤其是对于股份制银行和中小银行,应当逐步引导同业业务占比较高银行压缩同业资产,鼓励商业银行业务回归本源,支持实体经济发展。     

Financial openness,disclosure and bank risk-taking in MENA countries

In this paper, we analyze the risk-taking behavior of banks in emerging economies in a context of international capital mobility. Our paper highlights a new channel through which depositors can exercise pressure to control risk-taking. Depositors can reallocate their savings away from their home country to the more protective system of a developed economy. We recover a classical result according to which increased competition resulting from more international financial openness induces banks to take excessive risks. We find however that sufficiently high financial openness is necessary for a positive link between financial transparency and safe risk management. Finally, we test the relationship between disclosure, financial openness and bank risk-taking for a panel of 258 banks from the MENA region and Turkey.     

金融结构演变、货币政策与银行风险承担异质性

基于2002-2017年165家银行的面板数据,本文采用可行广义最小二乘(FGLS)方法实证检验金融结构演变视角下货币政策对银行风险承担渠道的影响。研究发现:金融结构的变化对银行风险承担具有显著影响,随着直接融资占比的上升,银行资产端风险承担显著减少,但负债端风险承担显著增加;控制住金融结构的作用之后,货币政策对银行资产端风险承担和负债端风险承担也具有显著的异质性影响,具体来说,价格型货币政策的紧缩使得银行资产端风险承担显著减少而导致银行负债端风险承担显著增加,数量型货币政策的紧缩则使得银行资产端风险承担和负债端风险承担同时减少;此外,货币政策与金融结构对银行风险承担具有显著的交互影响,随着直接融资占比的上升,价格型货币政策工具对银行资产端风险承担的影响减弱,对银行负债端风险承担的影响没有表现出显著变化,数量型货币政策工具对银行资产端风险承担和负债端风险承担的影响都受到削弱。研究结论的政策含义对货币当局、监管部门以及商业银行都具有重要意义。     

Spatial competition and market power in banking

Banks in non-metropolitan areas compete in a spatially differentiated environment. Non-metro community banks have been insulated from increasing competition from metro banks due to their reliance on soft information in relationship lending. Proximity to borrowers, therefore, may be an important source of market power for non-metro community banks. This paper estimates a structural model of the supply and demand of banking services in which pricing power is allowed to depend explicitly on the distance between rival banks. A spatial autoregressive econometric model shows that approximately 38.0% of economic surplus earned by firms in non-metropolitan banking in the upper midwest is due to spatial market power.     

货币政策对我国上市银行风险承担的影响研究

2008年金融危机后货币政策对银行风险承担的影响属于经济学界的新兴研究热点。基于2007—2012年14家上市银行的数据,运用GMM动态面板估计方法实证检验了货币政策对我国上市银行风险承担的影响并分析了非国有银行的风险承担行为。实证结果表明,宽松的货币政策会激励银行的风险承担,非国有银行对货币政策变动的反应更为敏感。此外激励效果的产生依赖于银行的资产负债表特征和宏观经济形势。     

Bank risk-taking and competition in developing banking markets: Does efficiency level matter? Evidence from Africa

We contribute to the existing literature on the nonlinear nexus between competition and risk-taking by exploring how differences in efficiency levels affect the risk-taking of banks when competition increases. Based on a sample of 430 African banks, this paper reveals that, banks with high and low efficiency tend to take more risk than those with average efficiency level. This study further suggests that bank specific characteristics and macroeconomic dynamics, play an important role in the competition-risk-taking nexus within African banking industry. Besides, while the penetration of African Cross-border banks does not stimulate risk-taking in the hosts domestic markets, an improvement of banking regulation (Basel 2.5, 3 and further) is mandatory to mitigate their possible adverse effects on the competition-financial stability nexus.     

Credit lender–borrower relationship in the credit card market – Implications for credit risk management strategy and relationship marketing

Lehman Brothers filed for bankruptcy in 2008, precipitating the international financial crisis. Many questioned the banks’ risk-taking credit system. Understanding credit risk and how the credit system functions may provide knowledge on managing credit, to avoid another such international crisis. We study the credit card field and present a pricing decision model for managing credit risk. Recent credit lenders’ portfolio re-pricing practices call for immediate attention to the credit lender–borrower relationship and relationship marketing. A literature review and recent phenomena in the credit card industry reveal that the lenders’ re-pricing strategy negatively affects the credit lender–borrower relationship and relationship marketing. Thus, we introduce a pricing decision model incorporating the lenders’ re-pricing strategy and the credit lender–borrower relationship. Further, we discuss the implications of, and the role of marketing in, credit risk management and the implications of relationship marketing for credit lenders in foreign markets, including the US market.     

Corruption and bank risk-taking: Evidence from emerging economies

This paper addresses the impact of corruption on banks' risk-taking behavior, using bank-level data from more than 1200 banks in 35 emerging economies during the period 2000–2012. We find consistent evidence that higher levels of corruption increase the risk-taking behavior of banks, in favor of the “sand the wheel” view in the corruption-development nexus. In addition, we examine the indirect effects of corruption on bank risks, and find evidence that the impact of monetary policy on banks' risk-taking behavior is more pronounced with the increasing severity of corruption.     

Reasoned Ethical Engagement: Ethical Values of Consumers as Primary Antecedents of Instrumental Actions Towards Multinationals

We examine the implications of the US government’s too-big-to-fail (TBTF) policy as it has been applied to banks. Using alternative measures of risk, we compare the risk-taking behavior of 11 TBTF banks, identified by the Comptroller of the Currency in 1984, to a number of non-TBTF banks. We provide both theory and new empirical evidence to support our argument that the TBTF policy leads management to significantly increase risk-taking, with no corresponding increase in performance. While prior studies have considered the effects of the TBTF policy on limited, but risk-related aspects of bank behavior, such as the cost of funds, our study provides direct evidence about the risk-taking behavior associated with the TBTF policy. Our study has important implications for the current political debate regarding the too-big-to-fail policy.     

Risk-taking behaviour and ownership in the banking industry: The Spanish evidence

This paper analyses the determinants of risk-taking in Spanish financial intermediaries, with special emphasis on the ownership structure and size of the different entities. On the one hand, the specific legal configuration of Spanish Savings banks may lead them to differ from Commercial banks in their risk behaviour. In particular, they may invest in riskier projects. Nevertheless, other theories indicate that greater stockholder control in Commercial banks may induce them towards greater risk-taking in certain situations. In this paper we test these hypotheses with a dynamic panel data model (1993–2000) for Spanish Commercial banks and Savings banks. We analyse whether differences in risk behaviour are related to different ownership structures or to other factors such as the size of the entity.     

The effect of stimulus policy on lending behavior and bank risk: Evidence from the Chinese banking sector

Considering China's stimulus policy in 2008 as a quasi-natural experiment, our study attempts to provide evidence to understand how expansionary monetary policy is likely to influence bank risk-taking in emerging markets, specifically in China. Using data on Chinese counties from 2006 to 2011, we theoretically discuss and empirically observe a positive relationship between the stimulus policy and bank risk-taking, as measured by nonperforming loans. Such a nexus stems from the negative effect of the stimulus policy on banks' lending standards and the positive effect on banks' credit support to small and medium sized enterprises. In addition, our study is enriched by estimating the moderating effects of bank capitalization based on the “risk-shifting” effect and “search for yield” effect caused by the stimulus policy. Specifically, we find important differences across banking groups, such that small and medium-sized banks with low capitalization increase their exposure to risk, while large state-owned banks with high capitalization notably reduce their risk tolerance. The results of this study may help to characterize monetary policy and macro prudential regulation, especially for emerging economies.     

Banking market power and its determinants: New insights from MENA countries

This paper evaluates the degree and determinants of banks' market power in 13 MENA countries for the years 2000 to 2018, with a special focus on customers' switching costs and banks' cost efficiency. We find that MENA banks enjoy a substantial degree of market power on the loan market, while their customers have to face remarkable costs in case of switching to other banks. Banking market power increases with the level of switching costs and is higher when credit institutions are more cost efficient, focus on the traditional intermediation activity, are smaller in size, and operate in countries where stock markets are less developed, banking markets are more concentrated, the inflation rate is lower, and GDP growth is poor. Our results are robust to alternative specifications and estimation techniques.     

银行利润对经济增长影响的实证分析——基于中美两国数据的对比

随着中国利率市场化改革的深化,银行拥有更多的经营自主权,但银行在信贷市场中所处的垄断地位却没有随着利率市场化改革而相应改变。运用VECM模型对中国12家上市银行及同时期美国商业银行的利润增长对经济发展的影响进行了实证研究,结果表明美国的银行利润增长显著促进了经济发展。相比之下,中国银行利润增长对经济发展的长期影响并不显著,而四大国有银行利润增长对经济发展有显著的阻碍作用,非国有银行利润增长则对经济发展有显著的促进作用。四大国有银行在信贷市场中的垄断地位导致其对经济发展产生阻碍,这意味着中国利率市场化改革及资本市场改革仍不彻底。因此,应鼓励非国有股份制银行发展,并进一步深化利率市场化改革及资本市场改革。     

资本市场发展对商业银行业务经营的影响与对策

本文着重分析了商业银行业务经营与资本市场的静态竞争与动态互补关系。一方面,资本市场的发展影响了商业银行的资金来源及运用。另一方面,资本市场又为商业银行实施多元化战略提供了广阔的平台,转变了商业银行的运行机制和业务模式。最后提出,金融创新是实现商业银行和资本市场良性互动的现实选择。     

外资银行进入对我国银行业竞争度的影响--基于Panzar-Rosse模型的实证研究

1997~2011年这15年间我国银行业处于垄断竞争状态,市场竞争度呈现先减后增的U型变化趋势,而2008年国际金融危机后我国银行业市场竞争度下降。外资银行资产份额与市场竞争程度存在负相关关系,而机构数量与竞争度不相关,外资银行进入未能促进我国银行业的竞争,中国银行业市场逐步发展完善是市场竞争度变化的根本原因。     

Monetary policy and bank risk-taking: Evidence from emerging economies

This paper addresses the impact of monetary policy on banks' risk-taking by using bank-level panel data from more than 1000 banks in 29 emerging economies during 2000–2012. We find that, consistent with the proposition of the “bank risk-taking channel” of monetary policy transmission, banks' riskiness increases when monetary policy is eased. This result is robust when we adopt alternative measures of monetary policy and bank risk, and use different econometric methodologies. In addition, we find that bank risk-taking amid expansionary monetary policy is less conspicuous in a more consolidated banking sector and when monetary policy is more transparent.     

金融创新对商业银行风险承担的影响--基于金融创新的分类研究

将银行金融创新分为降低项目监督成本和提高投资回报率两种类型,利用银行在融资市场的博弈均衡模型并结合数值模拟技术,研究两种类型金融创新对银行风险承担的影响。研究结果显示：相对于提高投资回报率的金融创新,降低项目监督成本的金融创新对银行风险承担影响更大,且当投资项目收益率较低时,降低监督成本的金融创新更有利于提高银行资金的使用效率,降低银行风险承担水平。实证结果支持理论模型的结论。